Bihejvioristički pristup neizvjesnosti

master's thesis

• Author: Danica Kavelj
• Mentor: Lavoslav Čaklović (mentor)
• Committee member: Lavoslav Čaklović (predsjednik povjerenstva)
• Committee member: Hrvoje Šikić (član povjerenstva)
• Committee member: Vjeran Hari (član povjerenstva)
• Committee member: Boris Širola (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2018-03-01, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

Ukratko ovaj rad predstavlja matematičke modele donošenja odluka pod neizvjesnošću potkrijepljene bihejviorističkim pristupom. Bihejvioralni temelji daju značenje kvantitativnih modela odlučivanja i njihovih subjektivnih parametara. Drugim riječima, daju unutarnju čvrstoću matematičkom modelu. U radu smo naveli razvoj donošenja odluka od očekivane korisnosti pa do prospektne teorije koja obuhvaća najviše karakteristika ljudskog ponašanja te je stoga primjenjivija u praksi. Teorija očekivane korisnosti razvila se nakon teorije očekivane vrijednosti kada je otkrivena nemogućnost same definicije očekivane vrijednosti (nekvantitativni modeli) i nerazumno maksimiziranje modela velikih vrijednosti. Nakon pojave korisnosti ishoda i razvoja teorije očekivane korisnosti eksperimentima su utvrđena kršenja u kojima je pokazano da ljudi prilikom donošenja odluka uvijek ne maksimiziraju očekivanu korisnost. Zbog takvih kršenja razvijaju se alternativni modeli kao što su korisnost ovisna o rangu i prospektna teorija koje objašnjavaju načine donošenja odluka u takvim situacijama. Međutim, rad na području bihejviorističkih temelja u odlučivanju te bihejviorističkih financija je tek započeo, te mnoge nedoumice u donošenju odluka se još uvijek istražuju.

Abstract (english)

This paper represents the mathematical models of making decisions under uncertainty and supported by behavior foundations. Behavioral foundations give meaning to quantitative decision models and their subjective parameters. In the other words, they are giving an internal strength to the mathematical model. In this paper, we have suggested the development of decision-making from the expected utility to a prospect theory that embraces the greatest significance of human behavior and therefore is more applicable in practice. The theory of expected utility was developed after the theory of expected values, when the impossibility to define the expected values (non-quantitative models) and unreasonable maximizing models with large values were discovered. After the utility of the outcomes has appeared and the theory of expected utility was developed, experiments have shown violations in which it is shown that people do not maximize their expected utility when making decisions. Consequently, alternative models, such as rank-dependent utility and prospect theory that explain ways of making decisions in such situations, are being developed. However, the field of behavioral foundations in decision-making and behavioral theory of finance is in its start so there are more doubts that are still being investigated.

• Keywords: bihejvioristički pristup; matematički model donošenja odluka; očekivana korisnost; korisnost ovisna o rangu; prospektna teorija
• Keywords (english): behavioral approach; mathematical models of making decisions; expected utility; rank-dependent utility; prospect theory
• Language: croatian
• URN:NBN: urn:nbn:hr:217:067009
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2018-09-03 10:34:34